Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 18 (1D) | Dec 19 (2D) | Dec 22 (5D) | Dec 23 (6D) | Dec 24 (7D) | Dec 25 (8D) | Dec 26 (9D) | Dec 29 (12D) | Dec 30 (13D) | Dec 31 (14D) | Jan 02 (16D) | Jan 09 (23D) | Jan 16 (30D) | Jan 23 (37D) | Jan 30 (44D) | Feb 06 (51D) | Feb 13 (58D) | Feb 20 (65D) | Feb 27 (72D) | Mar 06 (79D) | Mar 13 (86D) | Mar 20 (93D) | Mar 27 (100D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 665.187 | 662.613 | 657.507 | 656.181 | 654.961 | 653.826 | 652.76 | 649.877 | 648.998 | 648.152 | 646.547 | 641.602 | 637.369 | 633.606 | 630.186 | 627.029 | 624.081 | 621.307 | 618.679 | 616.176 | 613.781 | 611.482 | 609.268 |
| upper | 677.613 | 680.187 | 685.293 | 686.619 | 687.839 | 688.974 | 690.04 | 692.923 | 693.802 | 694.648 | 696.253 | 701.198 | 705.431 | 709.194 | 712.614 | 715.771 | 718.719 | 721.493 | 724.121 | 726.624 | 729.019 | 731.318 | 733.532 |
| expected move | 6.213 | 8.787 | 13.893 | 15.219 | 16.439 | 17.574 | 18.64 | 21.523 | 22.402 | 23.248 | 24.853 | 29.798 | 34.031 | 37.794 | 41.214 | 44.371 | 47.319 | 50.093 | 52.721 | 55.224 | 57.619 | 59.918 | 62.132 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
